EconPapers    
Economics at your fingertips  
 

The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises

Hardik Marfatia, Rangan Gupta () and Esin Cakan ()

No 201712, Working Papers from University of Pretoria, Department of Economics

Abstract: International real estate markets and the ever increasing role of the U.S. economic and policy developments has played a central role both in international portfolio management as well as broader economic policy making. In this paper, we measure the extent of time-varying impact of the U.S. monetary policy and macroeconomic news on the international Real Estate Investment Trusts (REITs) stock returns. Results suggest that there has been significant variation both across countries and across time in the role of U.S. news on the global REIT stocks. Further, the country’s stock market capitalization to GDP ratio has strong connections with the time-varying nature of the impact of the U.S. on the global REIT stock returns.

Keywords: Monetary Policy; Macroeconomic Surprises; International REITs; Time-Varying Model (search for similar items in EconPapers)
JEL-codes: E44 E52 C32 F42 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2017-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201712

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2019-04-19
Handle: RePEc:pre:wpaper:201712